Larry was supposed to present at the same conference I did last week in New York. Unfortunately he couldn’t make it due to family issues, but his offsider made the presentation instead.
They introduced 4 new systems which will appear in a new book due out soon. The book apparently contains 7 systems.
Got to say I was` very much underwhelmed, as were a few other attendee’s.
Not only were the returns rather average (+2% CAGR to +12% CAGR), but no commissions were included in the backtests, the universes seemed ‘selected’, and no survivorship bias was accounted for, i.e. all tests done on the current S&P 500 list. They also used dividend adjusted data.
There was one more that I thought weird.
All the systems would invest in the $SHY if not invested in the market. I get that, but one of the systems placed its full allocation of orders every day. Including the $SHY seems to be a post-dictive error, i.e. how can you allocate funds to the $SHY if you have a full compliment of orders sitting there waiting to be executed?
